Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0754
Annualized Std Dev 0.2480
Annualized Sharpe (Rf=0%) 0.3043

Row

Daily Return Statistics

Close
Observations 3924.0000
NAs 1.0000
Minimum -0.1353
Quartile 1 -0.0069
Median 0.0009
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0080
Maximum 0.1046
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0156
Skewness -0.5025
Kurtosis 7.3983

Downside Risk

Close
Semi Deviation 0.0114
Gain Deviation 0.0106
Loss Deviation 0.0122
Downside Deviation (MAR=210%) 0.0159
Downside Deviation (Rf=0%) 0.0112
Downside Deviation (0%) 0.0112
Maximum Drawdown 0.6520
Historical VaR (95%) -0.0241
Historical ES (95%) -0.0372
Modified VaR (95%) -0.0251
Modified ES (95%) -0.0502
From Trough To Depth Length To Trough Recovery
2007-06-20 2009-03-09 2013-05-28 -0.6520 1495 433 1062
2018-09-04 2020-03-18 2020-11-24 -0.4809 562 387 175
2015-06-24 2016-02-11 2016-11-25 -0.2948 361 161 200
2014-03-06 2014-10-10 2015-03-20 -0.1728 263 153 110
2006-05-08 2006-08-11 2006-12-27 -0.1513 163 68 95

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA 0.4 0.4 0 1.6 -0.7 1.7
2006 0.9 1.4 0.6 -0.9 2.2 0.5 -1.4 0 -0.9 -1.7 -0.5 -0.9 -0.7
2007 0.7 -0.5 0.4 0 0.8 -0.7 0.2 0.6 2.3 -3.9 -0.4 -0.7 -1.4
2008 1.8 -2.3 2.4 1.6 0.2 -0.5 0.6 -1 -1.5 5.3 -11.5 4.6 -1.3
2009 -1.7 -0.8 2.5 0.2 3.4 2 -0.1 -2.6 -3.4 -3 1.4 -0.9 -3.3
2010 0.6 2.6 0.7 -2.9 -3 -1 0.5 3.7 0.6 -0.9 1.7 -0.4 1.9
2011 2.5 -1.6 0.4 0.3 -3.1 1.1 -0.1 -2.5 -2.3 -3.8 -0.9 -0.1 -9.9
2012 2.1 0.3 -0.4 -0.5 -2.8 2.6 -1.9 0.4 0.4 0.8 0.1 2.2 3.3
2013 1 0.6 -1.2 -2.8 -1 1.4 1 -1.5 1 -0.5 0.3 0.1 -1.7
2014 -1 -0.6 1.4 -0.4 -0.5 1.2 -0.8 0.8 -1.7 1 -1.8 -0.2 -2.6
2015 -2.4 -1 0.3 1.1 0.4 0 0.4 -2.5 -0.6 -0.6 0.6 -1.2 -5.3
2016 -0.6 1.5 0.7 -0.9 0.8 0.9 -0.2 -0.1 1.2 -1.4 -0.2 -0.4 1.4
2017 0.3 2.1 0.4 0.9 2.1 -0.5 0.3 0.7 0.4 -1.3 -0.6 -0.9 4
2018 -0.1 0 0.7 0.6 0.7 -0.3 0.1 0.7 -1.8 1.7 0.5 0.9 3.6
2019 0.3 0.8 0.8 -0.4 -1.6 0.5 -1.5 -0.3 -2.2 1.7 0 0.3 -1.7
2020 -2 -1.2 -6.5 -3.6 0.7 -1 -1.7 0.9 1.5 -1.8 0.4 -0.4 -14.1
2021 2.2 4.8 1.4 NA NA NA NA NA NA NA NA NA 8.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-08-16  49.8 SPY    122. -0.013  -0.00960  -0.0011   0.0394    0.122    0.307   -0.171 GLD    44.6  0.0095   0.0279
2 2005-08-17  50.1 SPY    122. -0.0001 -0.0092   -0.0067   0.0287    0.111    0.311   -0.167 GLD    43.9 -0.0144   0.006 
3 2005-08-18  49.6 SPY    122. -0.0001 -0.0132   -0.0101   0.0243    0.114    0.281   -0.171 GLD    43.8 -0.0018  -0.0139
4 2005-08-19  50.0 SPY    122.  0.0023 -0.00480  -0.002    0.0281    0.108    0.298   -0.180 GLD    43.6 -0.0052  -0.02  
5 2005-08-22  50.2 SPY    122.  0      -0.0109   -0.0087   0.0225    0.111    0.279   -0.179 GLD    43.7  0.0023  -0.0097
6 2005-08-23  50.2 SPY    122. -0.0019  0.0002   -0.0077   0.0229    0.108    0.264   -0.178 GLD    43.8  0.0014  -0.0177
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart